The simulation renders a 3D price-yield curve for a customizable bond, showing how its price bows along a convex surface as market yield changes, and compares the actual repriced value against the straight-line duration estimate.
Adjust sliders for face value, coupon rate, maturity, and market yield to watch the bond reprice in real time, and toggle the duration-only versus duration-plus-convexity estimate lines to see how closely each tracks the true price.
Sliders control face value, coupon rate, maturity, and market yield, while toggles switch between viewing the actual price curve, the duration approximation, and the duration-plus-convexity approximation.
During 2022, when central banks raised interest rates at the fastest pace in decades, long-duration government bond funds lost more value in months than they had gained in the previous several years of coupon income combined.
The simulation renders a 3D price-yield curve for a customizable bond, showing how its price bows along a convex surface as market yield changes, and compares the actual repriced value against the straight-line duration estimate.
The simulation renders a 3D price-yield curve for a customizable bond, showing how its price bows along a convex surface as market yield changes, and compares the actual repriced value against the straight-line duration estimate.
Adjust sliders for face value, coupon rate, maturity, and market yield to watch the bond reprice in real time, and toggle the duration-only versus duration-plus-convexity estimate lines to see how closely each tracks the true price.
During 2022, when central banks raised interest rates at the fastest pace in decades, long-duration government bond funds lost more value in months than they had gained in the previous several years of coupon income combined.